Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence

By Marc Hallin, Davy Paindaveine. 2002

54 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/830e1ac0cb8be2c0d986ba674ebd6515fa67baf9

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Citations in the corpus

Rank-based optimal tests of the adequacy of an elliptic VARMA model (2004, methodology): “The AREs for the fixed-score procedures obtained in Proposition 8 coincide with those obtained in Hallin and Paindaveine (2002b) for the related problem of testing randomness against VARMA dependence.”
ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions (2013, background): “yler (1987), Taskinen et al. (2003), Oja and Randles (2004), Oja and Paindaveine (2005), Oja et al. (2006), and Sirkia et al. (2007). Their theoretical performance in low dimensions were analyzed in Hallin and Paindaveine (2002b,a, 2004, 2005, 2006) and Hallin et al. (2006). Though signicant progres”
Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors (2005, methodology): “…relative efficiencies of the proposed procedures with respect to the parametric Gaussian procedure are convex linear combinations of the corresponding asymptotic relative efficiencies in the pure location and purely serial models (see Hallin and Paindaveine 2002a and 2002b, respectively).”
Distribution and quantile functions, ranks and signs in dimension d: A measure transportation approach (2021, methodology): “There, they have been used, quite successfully, in a variety of multivariate models, including one-sample location (Hallin and Paindaveine 2002a), k-sample location (Um and Randles 1998), serial dependence (Hallin and Paindaveine 2002b), linear models with VARMA errors (Hallin and Paindaveine…”